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st: Hausman test (via a Wald test)

From   John Antonakis <>
Subject   st: Hausman test (via a Wald test)
Date   Sun, 01 May 2011 16:50:48 +0200


Given that sometimes Stata cannot compute the Hausman test (because it is undefined or because the estimation procedure does not allow it), I have been thinking about ways to go around this limitation (and find SUEST to be particularly useful in this regard).

I was wondering, though, if anyone is aware of literature showing that a Wald test could do too (which would be particularly useful in the case of models where the Hausman test can't be used in Stata); more specifically, the Wald test I am suggesting is to test whether the parameters (of interest) from the efficient estimator are significantly different from those of the consistent estimator. It would be very simply to do and could accommodate a large class of estimators. However, this test is only a constraint on the coefficient estimate/s from the efficient estimator and ignores the variance of estimates from the consistent estimator (thus I don't know to what extent this test would be useful).

Any thoughts?



Prof. John Antonakis
Faculty of Business and Economics
Department of Organizational Behavior
University of Lausanne
Internef #618
CH-1015 Lausanne-Dorigny
Tel ++41 (0)21 692-3438
Fax ++41 (0)21 692-3305

Associate Editor
The Leadership Quarterly

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